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Stochastic Approximation and Recursive Algorithms and Applications (Stochastic Modelling and Applied Probability, 35) - Hardcover
Synopsis
The basic stochastic approximation algorithms introduced by Robbins and MonroandbyKieferandWolfowitzintheearly1950shavebeenthesubject of an enormous literature, both theoretical and applied. This is due to the large number of applications and the interesting theoretical issues in the analysis of “dynamically de?ned” stochastic processes. The basic paradigm is a stochastic di?erence equation such as ? = ? + Y , where ? takes n+1 n n n n its values in some Euclidean...
From the Back Cover
This revised and expanded second edition presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. There is a complete development of both probability one and weak convergence methods for very general noise processes. The proofs of convergence use the ODE method, the most powerful to date. The assumptions and proof methods are designed...
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- PublisherSpringer
- Publication date2003
- ISBN 10 0387008942
- ISBN 13 9780387008943
- BindingHardcover
- LanguageEnglish
- Edition number2
- Number of pages500
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Stochastic Approximation and Recursive Algorithms and Applications (Stochastic Modelling and Applied Probability, 35)
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ISBN 10: 0387008942
ISBN 13: 9780387008943
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